Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return -0.0034
Annualized Std Dev 0.2291
Annualized Sharpe (Rf=0%) -0.0148

Row

Daily Return Statistics

Close
Observations 3711.0000
NAs 1.0000
Minimum -0.1114
Quartile 1 -0.0057
Median 0.0006
Arithmetic Mean 0.0001
Geometric Mean 0.0000
Quartile 3 0.0067
Maximum 0.1621
SE Mean 0.0002
LCL Mean (0.95) -0.0004
UCL Mean (0.95) 0.0006
Variance 0.0002
Stdev 0.0144
Skewness -0.2641
Kurtosis 12.3838

Downside Risk

Close
Semi Deviation 0.0106
Gain Deviation 0.0101
Loss Deviation 0.0118
Downside Deviation (MAR=210%) 0.0152
Downside Deviation (Rf=0%) 0.0106
Downside Deviation (0%) 0.0106
Maximum Drawdown 0.6389
Historical VaR (95%) -0.0213
Historical ES (95%) -0.0362
Modified VaR (95%) -0.0211
Modified ES (95%) -0.0308
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 NA -0.6389 3369 339 NA
2007-07-13 2007-08-16 2007-09-27 -0.1248 54 25 29
2007-02-27 2007-03-05 2007-04-03 -0.0804 26 5 21
2006-07-11 2006-07-18 2006-07-28 -0.0493 14 6 8
2006-08-23 2006-09-11 2006-10-16 -0.0488 38 13 25

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2006 NA NA NA NA NA 4.8 -1 0.3 -0.6 -0.2 -0.5 -0.2 2.6
2007 0.5 -1.8 0.1 0.3 0.7 0.5 0.4 2.5 0.8 -2.5 0.5 -1.3 0.7
2008 1.6 -2.5 2.9 0.7 0.2 -1.6 -1.1 -0.6 0.4 0.2 -6.4 1.2 -5.3
2009 -1.5 -0.9 1.8 1.7 2.5 0.9 1.2 -2.7 -2.4 -3.9 2.4 -0.7 -1.9
2010 1.9 0.3 1.3 -1.1 -0.3 1.3 0 3.6 1.1 -0.5 2.9 0.6 11.8
2011 2.3 -1.8 0.8 0.2 -2.2 0.9 -1.3 -0.7 -3.4 -3.8 -0.8 0.5 -9
2012 1.3 1.3 0.8 0.5 -2.6 3.5 0.2 0.9 0.6 1.2 0.1 1.6 9.7
2013 0.8 0 -1.1 -1 -2.3 0.7 0.9 -0.9 0.4 -0.4 0.5 0.3 -2.2
2014 -1.1 0.1 0.3 -0.1 -0.2 0.7 -0.5 0 -1 1.4 -0.3 -0.9 -1.8
2015 -1.7 0.1 0.7 0.7 -0.6 0.3 0.5 -3.3 0.2 -0.1 0.9 -1.3 -3.6
2016 -0.1 2.3 -0.9 -0.4 -0.1 0.1 -1 0.4 0.8 -0.3 -0.1 0.2 0.9
2017 0.3 1.1 -0.1 0.4 0.5 0.1 0.5 0.2 0.8 0.2 -0.4 0.2 3.8
2018 0 -1.1 0.8 -0.8 0.6 0.7 -0.8 -1 0.1 0.9 -0.2 -0.2 -1
2019 0 0.4 1 -0.7 -0.8 0.4 -0.5 0.3 -0.8 0.8 -0.8 0.4 -0.1
2020 -1.6 -0.7 -4.8 -2.5 1.9 0.4 -2.2 -0.2 0 -0.5 1.5 -0.7 -9.1
2021 0.9 1.3 0.2 NA NA NA NA NA NA NA NA NA 2.4

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2006-06-16  50.2 SPY    125. -0.0073 -0.00120  -0.013   -0.0415   0.0313    0.232  -0.0071 GLD    57.7  0.0063  -0.0458
2 2006-06-20  50.3 SPY    124.  0.0034  0.0126   -0.0237  -0.0424   0.0222    0.241  -0.0057 GLD    57.3  0.0167   0.0247
3 2006-06-21  50.9 SPY    125.  0.0074  0.0122   -0.0089  -0.0412   0.0291    0.257   0.0247 GLD    58.3  0.018    0.0487
4 2006-06-22  50.4 SPY    124. -0.0044 -0.0132   -0.0057  -0.0434   0.0238    0.265   0.0214 GLD    57.7 -0.0103   0.0072
5 2006-06-23  50.5 SPY    124. -0.0002 -0.0017   -0.0137  -0.0443   0.0382    0.263   0.0262 GLD    58.0  0.0045   0.0054
6 2006-06-27  50.3 SPY    124. -0.0086 -0.0015   -0.0348  -0.0411   0.0399    0.254   0.0121 GLD    57.7 -0.0103   0.0066
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart